Spurgeon ping.
I can think of several reasons besides the one Spurgeon gave:
Like Jesus, we learn obedience by suffering. (Hebrews 5:8)
We suffer along with others because we know that we have better and lasting possessions. Our "treasures" are in heaven because that is where our hearts are also. (Luke 12:34; Hebrews 10:34)
We will only find true joy in this life when we admit that we are foreigners and strangers on earth. Because:
Our Heavenly Father is not Santa Claus, the Fairy Godmother, Sugar Daddy or Genie, we don't serve and follow Him because He will make us wealthy and we will never suffer. We do because He is the truth, the life and the way, and He has saved us by His grace.